Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - In: International Finance 13 (2010) 1, pp. 79-108
We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the United Kingdom and the United States using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios with the actual cross-border asset positions...